UID:
kobvindex_GFZ388080345
Format:
XVII, 533 Seiten
,
Diagramme
Edition:
Revised edition
ISBN:
0691121370 (cloth)
,
9780691121376 (cloth)
Note:
Literaturverz. S. 497 - 511
,
Hier auch später erschienene, unveränderte Nachdrucke***Unchanged reprints that were published later are included here
,
Contents: Preface ; Part 1 - Asset Pricing Theory ; 1 Consumption-Based Model and Overview ; 2 Applying the Basic Model ; 3 Contingent Claims Markets ; 4 The Discount Factor ; 5 Mean-Variance Frontier and Beta Representations ; 6 Relation between Discount Factors, Betas, and Mean-Variance Frontiers ; 7 hnplications of Existence and Equivalence Theorems ; 8 Conditioning Information ; 9 Factor Pricing Models ; Part II - Estimating and Evaluating Asset Pricing Models ; I 0 GMM in Explicit Discount Factor Models ; 11 GMM: General Formulas and Applications ; 12 Regression-Based Tests of Linear Factor Models ; 13 GMM for Linear Factor Models in Discount Factor Form ; 14 Maximum Likelihood ; 15 Time-Series, Cross-Section, and GMM/DF Tests of Linear
Factor Models ; 16 Which Method? ; Part III - Bonds and Options ; 17 Option Pricing ; 18 Option Pricing without Perfect Replication ; 19 Term Structure of Interest Rates ; Part IV - Empirical Survey ; 20 Expected Returns in the Time Series and Cross Section ; 21 Equity Premium Puzzle and Consumption~Based Models ; PartV - Appendix ; A.1 Brownian Motion ; A.2 Diffusion Model ; A.3 Ito's Lemma ; Problems ; References
Language:
English
Subjects:
Economics
URL:
http://www.loc.gov/catdir/description/prin051/2004050561.html
URL:
http://www.loc.gov/catdir/enhancements/fy0734/2004050561-b.html
